Well, think of it this way, there are tons of girls that watch Naruto and Bleach (two perfect examples of shounen anime). There's nothing shameful if you're a guy and you watch Magical Girl Lyrical Nanoha either.

It doesn't really matter to me if it's shoujo or shounen, as long as the story is good and the characters are really well drawn... but sometimes when my guy friends and I talk about anime, I get embarrassed about recommending anime like Ouran and La Corda D'Oro to them, because they say that I'm only watching it for the eye candy. And when I recommend anime like Naruto and Bleach to my girly-girl friends, they don't really get it.

I am a girl, but I honestly can't watch many shojo with out action. It just doesn't have the same kick. Sure, some things like Ouran and what not are great, but I tend to like shonen more because it is...I don't know...better to me.
And I think it's great if you're a boy and like to watch shojo. You'll have some practice when you meet a girl you really want to impress! lol